"Improving portfolios global performance using a cleaned and robust ..."

Emmanuelle Jay et al. (2020)

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DOI: 10.1007/S00500-020-04840-9

access: closed

type: Journal Article

metadata version: 2022-04-09

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Emmanuelle Jay, Thibault Soler, Eugénie Terreaux, Jean Philippe Ovarlez, Frédéric Pascal, Philippe de Peretti, Christophe Chorro:
Improving portfolios global performance using a cleaned and robust covariance matrix estimate. Soft Comput. 24(12): 8643-8654 (2020)

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